In this study, we attempt to revisit how dependent the US stock market returns are on climate change related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index, carbon price, general and climate uncertainty) on US Small Minus Big (SMB) and High Minus Low (HML) factors. Statically, our findings reveal that the indexes of the clean energy and new energy innovation industry (green companies) and climate policy uncertainty are drivers of the transmission spillover network, especially in extreme market scenarios. Dynamically, CCRR proxies act as net contributors and/or net receipts of shock spillovers over time and across the quantiles of the joint distribution. We further find that the spillover connectedness network is very sensitive to market states and that the strength of the effects of CCRR proxies are more pronounced under bust and boom markets. Our findings are beneficial for environmental investors and policymakers responsible for portfolio diversification strategies.